So, i have a burned pal game and it's not working either, meaning that when i press to connect game goes back to the dreamcast dashboard, guess i can't help much as my dreampi is working fine...
Sadly a big issue for online connecting games is that many of the ISOs seem to fail the modem connectivity. There's a few games I've burned where choosing anything internet related kicks you to the dashboard or crashes the console. I think the CDI builders tend to cut out the internet section completely to save on disc space required.